Campbell, Robert D.; Emekter, Riza; Jirasakuldech, Benjamas - European Real Estate Society - ERES - 2006
We examine the dynamic behavior of EREIT returns and volatility during the pre- and post-1991 REIT major organizational and structural changes. We find evidence of non-random walk and asymmetric price change pattern, and increases in the EREIT volatility during the 1990s REITs structural shift....
